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Typology for flight-to-quality episodes and downside risk measurement

Gubareva, Mariya; Borges

We propose a total return-based framework to measure downside risk associated with phenomenon of capital outflows from riskier to safer financial markets. The proposed method consists of three elements: (i) the general definition of the flight-to-quality (FtQ) phenomenon, (ii) the typological classification of the flight-to-quality occurrences for associating them with the phases of the business cycle and (iii)...

Date: 2016 | Origin: Repositório da Universidade de Lisboa

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